/usr/include/ql/termstructures/credit/piecewisedefaultcurve.hpp is in libquantlib0-dev 1.1-2build1.
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/*
Copyright (C) 2008 Jose Aparicio
Copyright (C) 2008 Chris Kenyon
Copyright (C) 2008 Roland Lichters
Copyright (C) 2008 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file piecewisedefaultcurve.hpp
\brief piecewise-interpolated default-probability structure
*/
#ifndef quantlib_piecewise_default_curve_hpp
#define quantlib_piecewise_default_curve_hpp
#include <ql/termstructures/iterativebootstrap.hpp>
#include <ql/termstructures/credit/probabilitytraits.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/quote.hpp>
namespace QuantLib {
//! Piecewise default-probability term structure
/*! This term structure is bootstrapped on a number of credit
instruments which are passed as a vector of handles to
DefaultProbabilityHelper instances. Their maturities mark the
boundaries of the interpolated segments.
Each segment is determined sequentially starting from the
earliest period to the latest and is chosen so that the
instrument whose maturity marks the end of such segment is
correctly repriced on the curve.
\warning The bootstrapping algorithm will raise an exception if
any two instruments have the same maturity date.
*/
template <class Traits, class Interpolator,
template <class> class Bootstrap = IterativeBootstrap>
class PiecewiseDefaultCurve
: public Traits::template curve<Interpolator>::type,
public LazyObject {
private:
typedef typename Traits::template curve<Interpolator>::type base_curve;
typedef PiecewiseDefaultCurve<Traits,Interpolator,Bootstrap> this_curve;
public:
typedef Traits traits_type;
typedef Interpolator interpolator_type;
//! \name Constructors
//@{
PiecewiseDefaultCurve(
const Date& referenceDate,
const std::vector<boost::shared_ptr<typename Traits::helper> >&
instruments,
const DayCounter& dayCounter,
const std::vector<Handle<Quote> >& jumps = std::vector<Handle<Quote> >(),
const std::vector<Date>& jumpDates = std::vector<Date>(),
Real accuracy = 1.0e-12,
const Interpolator& i = Interpolator())
: base_curve(referenceDate, dayCounter, jumps, jumpDates, i),
instruments_(instruments), accuracy_(accuracy) {
bootstrap_.setup(this);
}
PiecewiseDefaultCurve(
const Date& referenceDate,
const std::vector<boost::shared_ptr<typename Traits::helper> >&
instruments,
const DayCounter& dayCounter,
Real accuracy,
const Interpolator& i = Interpolator())
: base_curve(referenceDate, dayCounter,
std::vector<Handle<Quote> >(), std::vector<Date>(), i),
instruments_(instruments), accuracy_(accuracy) {
bootstrap_.setup(this);
}
PiecewiseDefaultCurve(
const Date& referenceDate,
const std::vector<boost::shared_ptr<typename Traits::helper> >&
instruments,
const DayCounter& dayCounter,
const Interpolator& i)
: base_curve(referenceDate, dayCounter,
std::vector<Handle<Quote> >(), std::vector<Date>(), i),
instruments_(instruments), accuracy_(1.0e-12) {
bootstrap_.setup(this);
}
PiecewiseDefaultCurve(
Natural settlementDays,
const Calendar& calendar,
const std::vector<boost::shared_ptr<typename Traits::helper> >&
instruments,
const DayCounter& dayCounter,
const std::vector<Handle<Quote> >& jumps = std::vector<Handle<Quote> >(),
const std::vector<Date>& jumpDates = std::vector<Date>(),
Real accuracy = 1.0e-12,
const Interpolator& i = Interpolator())
: base_curve(settlementDays, calendar, dayCounter, jumps, jumpDates, i),
instruments_(instruments), accuracy_(accuracy) {
bootstrap_.setup(this);
}
PiecewiseDefaultCurve(
Natural settlementDays,
const Calendar& calendar,
const std::vector<boost::shared_ptr<typename Traits::helper> >&
instruments,
const DayCounter& dayCounter,
Real accuracy,
const Interpolator& i = Interpolator())
: base_curve(settlementDays, calendar, dayCounter,
std::vector<Handle<Quote> >(), std::vector<Date>(), i),
instruments_(instruments), accuracy_(accuracy) {
bootstrap_.setup(this);
}
PiecewiseDefaultCurve(
Natural settlementDays,
const Calendar& calendar,
const std::vector<boost::shared_ptr<typename Traits::helper> >&
instruments,
const DayCounter& dayCounter,
const Interpolator& i)
: base_curve(settlementDays, calendar, dayCounter,
std::vector<Handle<Quote> >(), std::vector<Date>(), i),
instruments_(instruments), accuracy_(1.0e-12) {
bootstrap_.setup(this);
}
//@}
//! \name TermStructure interface
//@{
Date maxDate() const;
//@}
//! \name base_curve interface
//@{
const std::vector<Time>& times() const;
const std::vector<Date>& dates() const;
const std::vector<Real>& data() const;
std::vector<std::pair<Date, Real> > nodes() const;
//@}
//! \name Observer interface
//@{
void update();
//@}
private:
//! \name LazyObject interface
//@{
void performCalculations() const;
//@}
// methods
Probability survivalProbabilityImpl(Time) const;
Real defaultDensityImpl(Time) const;
Real hazardRateImpl(Time) const;
// data members
std::vector<boost::shared_ptr<typename Traits::helper> > instruments_;
Real accuracy_;
// bootstrapper classes are declared as friend to manipulate
// the curve data. They might be passed the data instead, but
// it would increase the complexity---which is high enough
// already.
friend class Bootstrap<this_curve>;
friend class BootstrapError<this_curve>;
Bootstrap<this_curve> bootstrap_;
};
// inline definitions
template <class C, class I, template <class> class B>
inline Date PiecewiseDefaultCurve<C,I,B>::maxDate() const {
calculate();
return base_curve::maxDate();
}
template <class C, class I, template <class> class B>
inline const std::vector<Time>&
PiecewiseDefaultCurve<C,I,B>::times() const {
calculate();
return base_curve::times();
}
template <class C, class I, template <class> class B>
inline const std::vector<Date>&
PiecewiseDefaultCurve<C,I,B>::dates() const {
calculate();
return base_curve::dates();
}
template <class C, class I, template <class> class B>
inline const std::vector<Real>&
PiecewiseDefaultCurve<C,I,B>::data() const {
calculate();
return this->data_;
}
template <class C, class I, template <class> class B>
inline std::vector<std::pair<Date, Real> >
PiecewiseDefaultCurve<C,I,B>::nodes() const {
calculate();
return base_curve::nodes();
}
template <class C, class I, template <class> class B>
inline void PiecewiseDefaultCurve<C,I,B>::update() {
base_curve::update();
LazyObject::update();
}
template <class C, class I, template <class> class B>
inline Probability
PiecewiseDefaultCurve<C,I,B>::survivalProbabilityImpl(Time t) const {
calculate();
return base_curve::survivalProbabilityImpl(t);
}
template <class C, class I, template <class> class B>
inline Real PiecewiseDefaultCurve<C,I,B>::defaultDensityImpl(Time t) const {
calculate();
return base_curve::defaultDensityImpl(t);
}
template <class C, class I, template <class> class B>
inline Real PiecewiseDefaultCurve<C,I,B>::hazardRateImpl(Time t) const {
calculate();
return base_curve::hazardRateImpl(t);
}
template <class C, class I, template <class> class B>
inline void PiecewiseDefaultCurve<C,I,B>::performCalculations() const {
// just delegate to the bootstrapper
bootstrap_.calculate();
}
}
#endif
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